Investors value the liquidity and safety of US Treasuries. We document
this by showing that changes in Treasury supply have large effects on
a variety of yield spreads. As a result, Treasury yields are reduced by
73 basis points, on average, from 1926 to 2008. Both the liquidity and
safety attributes of Treasuries are driving this phenomenon. We document
this by analyzing the spread between assets with different liquidity
(but similar safety) and those with different safety (but similar
liquidity). The low yield on Treasuries due to their extreme safety and
liquidity suggests that Treasuries in important respects are similar to
money.

en_US

dc.format.extent

36

en_US

dc.language

eng

en_US

dc.publisher

The University of Chicago Press

en_US

dc.relation.ispartofseries

Journal of Political Economy;Vol. 120, Iss. 2, pp. 233-267

dc.title

The Aggregate Demand for Treasury Debt

en_US

dc.type

art

en_US

dc.contributor.corporation

Northwestern University and National Bureau of Economic Research

en_US

dc.contributor.corporation

Northwestern University, National Bureau of Economic Research, and Centre for Economic Policy Research